Tehran Securities Exchange's leading stocks in currency crisis: minimum spanning tree

Subject Areas : Journal of Capital Market Analysis

Mostafa Baratpour ¹ , Ghodratollah Emamverdi ² , Mahmoud Mahmoudzadeh ³ , Parvaneh Salatin ⁴

1 - Economic expert/Ministry of Economic Affairs and Finance
2 - Assistant prof, Department of Economics, Central Tehran Branch, Islamic Azad university, Tehran,, Iran
3 - Associate prof, Department of Economics, Firuzkoh Branch, Islamic Azad university, Tehran,, Iran
4 - Assistant prof, Department of Economics,, Firuzkuh Branch,, Islamic Azad university, Tehran, Iran

Received: 2022-09-09 Accepted : 2023-03-07 Published : 2023-02-20

Keywords: Stock market, Minimum Spanning Tree, ICSS, Hierarchical Tree,

Abstract :

his study was conducted with the aim of identifying the leading companies in the stock market and the impact of the currency crisis on the change of these companies, using the spanning tree model. For this purpose, the daily price returns of 50 selected stocks from the Iranian stock market and in two time periods were used to form the stock network. The period from March 24, 2016 to March 20,2018 was determined as the period before the currency crisis, and by identifying the currency event on April 4, 2018, using the ICSS model, the period from April 4, 2018 to July 21,2020 was determined as the period after the exchange rate crisis. According to the findings of the research, in the period before the exchange rate crisis, the symbols of Khepars, Foulad and Kegol have the highest correlation with other stocks. In other words, these stocks have been able to play a leading role. After the jump in the exchange rate, Veghdir and Foulad were identified as the leading stocks. According to the results, export-oriented industries have been able to maintain their leading role after the exchange rate crisis, and import-oriented industries such as automobiles have lost their leading role.